Hello Kens,
To sound proof the closet you would use either MLV or SSP Mat - or a combination of the two. For info on MLV see
http://www.soundproofing.org/infopages/flooring.htm And for info on SSP Mat see chart at top of
http://www.soundproofing.org/sales/prices.htmlSome people simply line the inside walls and ceiling (include inside of door as well) with SSP Mat in 1" thickness (minimum 1/2" thick). This will absorb and block sound within the contained space. If there is a great deal of noise within the closet and you want to make sure to block it from transmitting though walls/ceiling/floor then you will want to use a layer of 1/8" MLV (without foam) to the surface and then add the SSP Mat over that.
Remember, the first rule of soundproofing is to place something between the source and the target. And the closer to the source, the better it works.
To reduce the noise from the return air inlet you can apply SSP Mat directly to the metal - either outside or (if you can get in there) the inside of the inlet. SSP Mat has been used inside HVAC metal ductwork extensively to quiet noise.
Joel